biz.sc.mm.dm.supervised.timeseries

Interface TimeSeriesModel

public interface TimeSeriesModel

Common interface for time series models.

Method Summary

Methods

Modifier and Type	Method and Description
AutocorrelationData	getAutocorrelationData() Calculates data for the sample autocorrelation and the partial autocorrelation plots.
double	getForecastedVariance(double[] epsSpan, double[] hSpan)
int	getRequiredTimeSpan() Required time span of the historical epsilons and variances.

Method Detail

getForecastedVariance

double getForecastedVariance(double[] epsSpan,
                           double[] hSpan)

Parameters:

epsSpan - historical values of epsilons in previous timepoints: [e_{t-1}, ..., e_{t-k}]

hSpan - historical values of variances in previous timepoints: [e_{t-1}, ..., e_{t-k}]

Returns:

the value of the forecasted variance.

getRequiredTimeSpan

int getRequiredTimeSpan()

Required time span of the historical epsilons and variances.

Returns:

required time span for the prediction [span = max(p,q)].

getAutocorrelationData

AutocorrelationData getAutocorrelationData()

Calculates data for the sample autocorrelation and the partial autocorrelation plots.

Returns:

autocorrelation plots data.